AmericanBinomPut_Greeks¶
Purpose¶
Computes Delta, Gamma, Theta, Vega, and Rho for American put options using the binomial method.
Format¶
-
{ d, g, t, v, rh } =
AmericanBinomPut_Greeks
(S0, K, r, div, tau, sigma, N)¶ Parameters: - S0 (scalar) – current price.
- K (Mx1 vector) – strike prices.
- r (scalar) – risk free rate.
- div (scalar) – continuous dividend yield.
- tau (scalar) – elapsed time to exercise in annualized days of trading.
- sigma (scalar) – volatility.
- N (scalar) – number of time segments. A higher number of time segments will increase accuracy at the expense of increased computation time.
Returns: - d (Mx1 vector) – delta.
- g (Mx1 vector) – gamma.
- t (Mx1 vector) – theta.
- v (Mx1 vector) – vega.
- rh (Mx1 vector) – rho.
Global Input¶
_fin_thetaType | scalar, if 1, one day look ahead, else, infinitesmal. Default = 0. |
_fin_epsilon | scalar, finite difference stepsize. Default = 1e-8. |
Examples¶
S0 = 305;
K = 300;
r = .08;
div = 0;
sigma = .25;
tau = .33;
print AmericanBinomPut_Greeks(S0, K, r, 0, tau, sigma, 60);
produces
-0.37483952
0.0031359210
0.99863719
65.800721
-31.075062
Remarks¶
The binomial method of Cox, Ross, and Rubinstein (“Option pricing: a simplified approach,” Journal of Financial Economics, 7:229:264) as described in Options, Futures, and other Derivatives by John C. Hull is the basis of this procedure.
Source¶
finprocs.src
See also
Functions AmericanBinomPut_ImpVol()
, AmericanBinomPut()
, AmericanBinomCall_Greeks()
, AmericanBSPut_Greeks()